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~institution:"Banca d'Italia"
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2) an illusory thickening of the money market follows
1
RTGS
1
agent-based modeling
1
along with increased payment delays
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and
1
and a scenario emerges in which it might be necessary for the central bank to step in as liquidity provider. The methodology presented differs from traditional payment systems simulations featuring deterministic streams of payments dealt with in a centralized manner with static behavior on the part of banks. The paper is within a recent stream of empirical research that attempts to model RTGS with agent � based techniques
1
and a simplified money market. A simulation exercise using synthetic data of BI-REL (the Italian RTGS) predicts the macroscopic impact of a disruptive event on the flow of interbank payments. The main advantage of agent - based modeling is that we can dynamically see what happens to the major variables involved. In our reduced-scale system
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crisis simulation Abstract: This paper presents an exploratory agent-based model of a real time gross settlement (RTGS) payment system. Banks are represented as agents who exchange payment requests
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even after they become fully aware of the critical event
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finally 3) defaulted obligations dramatically rise. The banks cannot staunch the losses accruing on defaults
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including a central bank acting as liquidity provider
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liquidity
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payment systems
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three hypothetical distinct phases emerge after the disruptive event: 1) a liquidity sink effect is generated and the participants� liquidity expectations turn out to be excessive
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which are settled according to a set of simple rules. The model features the main elements of a real-life system
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Arciero, Luca
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Biancotti, Claudia
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Impenna, Claudio
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Leandro D�Aurizio
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Banca d'Italia
Economics Research, World Bank Group
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Iowa State University / Center for Agricultural and Rural Development
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Oesterreichische Nationalbank
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Exploring agent-based methods for the analysis of payment systems: a crisis model for StarLogo TNG
Arciero, Luca
;
Biancotti, Claudia
;
Leandro D�Aurizio
; …
-
Banca d'Italia
-
2008
Persistent link: https://www.econbiz.de/10005113651
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